Interest Rate Swaps and Their Derivatives: A Practitioner′s Guide

"Interest Rate Swaps and Their Derivatives" is a book written by a veteran Wall Street practitioner and an experienced New York University teacher. It offers a practical introduction on how interest-rate based instruments are valued.I have taken Dr. Sadr class at NYU and this was the course textbook. I can say that this book offers a hands-on approach on how to value IR products. It builds on risk-neutral principles and martingale methodology to lead the student through calibration of interest rate models, including computation of Arrow-Debreu state prices, as well as valuation of a large variety of IR instruments. Flow options that are priced include caps and floors, swaptions, and CMS (constant maturity swap) products. Interest-rate exotics are covered and include for instances Bermudan-style options like cancelable swaps. Each chapter is filled with examples.This is a book for traders and quant apprentices alike. If you live near New York City, taking the NYU class, 8 weekly evening sessions, will take you a long way in covering the book. That is the way I digested the book. I should add that the reader would certainly benefit from having the examples and Excel workbooks available through a web site.

what i really wanted. not too much maths, but enough to understand the good principles that are also well explained!

I am not a trader, but I work on trading and risk management systems using rates. I found this book very practical. It covers many topics such as - forward rate curve, par-swap curve, construction of swap curve, basis swaps, model behind rates products, market conventions etc.It is quite focused on practical aspects instead of theory. It is well organized with three parts - first about basics, second about vanilla swaps and third about exotics. Part two has all about the instruments trading in market and basics behind.I learned lot of theory from various books. This book gave me practical perspective of IRS products.It is very helpful for someone who wants to understand IRS trading and fundamentals from practical perspective.

Text reference

Imagine someone gave you an assignment to write a book entitled "Interest Rate Swaps" but told you that you must do it without showing how to actually value swaps. Impossible you say? Well this author has managed to accomplish this challenging task.IF YOU WANT TO LEARN TO VALUE SWAPS, YOU WON'T FIND IT IN THIS BOOK.The book does make a terrific doorstop, however. I will also be trying it out as a paperweight.